Not the Grail, just a regular one - Bablokos!!! - page 50
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In general, the topic itself is interesting to research. By the way, you can draw an analogy with the guy called hrenfx, who has also dug a lot in this direction. And he has also shown a fantastic return on a similar system, moreover on the real account (FxOpen PAMM). However, this growth lasted only 3 months, after that the long drawdown started. Now the account is in drawdown by 80%. In general it's all unstable... I think Alexander did the same thing: after the super profitable period shown in the statement, the market slumped. Everything seems to be going that way on the monitored demo as well...
Yes, the topic is interesting ..... So Alexander is a troll, but not without foundation.
But in forex these correlations are very unstable. And I think it is possible to derive a synthetic tool that is the most acceptable for some non-universal TS.
The intra-branch stocks are another matter. for them statistical arbitrage is a very effective thing.
Meat, nessesary: Gentlemen, I understand that Alexander with the demo is just messing with you frustrated and always looking to drool over you, and maybe even foam at some of you. I have to admit that he does it well too ))))
The charisma that some are sneered at is justified in my opinion, for they are trying to deny out of ignorance. I don't know who he is, a dullard, a lunatic or a genius, but he found a pattern of an unsteady process, formalised it and imho is entitled to the charisma, for he is a winner.
Well... I think he's making fun of people like you because he's already indoctrinated you into believing that . "but he found a pattern of an unsteady process, formalized it and imho is entitled to charisma, for he's a winner" - and that's exactly what he needed. Congratulations. You're the meat.
Meat, nessesary: Gentlemen, I understand that Alexander with the demo is just messing with you frustrated and always looking to drool over you, and maybe even foam at some. I must admit he does it well too ))))
The charisma with which some are sneered at is justified in my opinion, for they are trying to deny out of ignorance. I do not know who he is, a lunatic or a genius, but he has found a pattern in an unsteady process, formalized it and imho has the right to charisma, because he is a winner.
It's not about charisma or drooling. We are simply trying to understand whether there is a real pattern to all this, or the man just got lucky. After all, he only selectively shows us some lucky periods. What about the rest of the time? For example, the chart of the pamma of the ExpensiveBuyer you mentioned (at Alpari) does not inspire confidence. It looks like a random wandering. But Nolose is quite another matter, it seems that there is a pattern...
I have not yet seriously dug into the direction of portfolio statistical arbitrage, I am still pondering whether it is worth spending time on it. I am not sure if I am right, but I am sure I am wrong.
After all, it's far from certain that the resulting portfolio that looks like a stationary process really is. It could very well just be a fit. It seems to me that for any uncorrelated non-stationary process one can choose such an interval and such coefficients that the resulting portfolio looks stationary, although in fact it is only an illusion. But I may be wrong...
I would love to hear your strategies, if you have them. If not, please don't radiate trollishness and pass by.
Do you have anything to say on synthetic trading?! ( read your posts again...), -
I myself trade spreads from futures based on seasonality and other fundamentals,. I.e. the movement is based on specific fundamentals, so I can be initially confident that the stat advantage is on my side. But in the case of statistical arbitrage there is no such certainty, especially in forex...
I myself trade spreads from futures based on seasonality and other fundamentals. That is, the movement is based on specific fundamentals, so I can be initially confident that the statistical advantage is on my side. But in the case of statistical arbitrage there is no such certainty, especially in forex...
I also traded on seasonal basis, but let me ask you, what is the basis for belief in "specific foundations"? Is it based on the fact that for the last 15-20 years sugar has risen in July and heating oil in winter? It makes sense, but you know there are loss-making years, when commodities go against the season, such as some grains this summer because of drought. And where is the guarantee that the drought will not be 2-3 years in a row, etc.. So what happens in the end? And that all the "concrete foundation" is based on 10-20 transactions (years), which, you agree, can not claim to be representative or talk about any stat.superiority.
1. I've traded seasonally too, but let me ask you, what is the basis for believing in a "specific foundation" ? On the fact that over the last 15-20 years sugar has been getting more expensive in July and heating oil in winter? It makes sense, but you know there are loss-making years, when commodities go against the season, such as some grains this summer because of drought. And where is the guarantee that there will not be a drought 2-3 years in a row, etc.
2. what is the bottom line? The bottom line is that the whole "concrete foundation" is based on 10-20 transactions (years), which you can't claim to be representative or to have any statistical advantage whatsoever.
1. We are talking about trading not direct contracts, but their spreads - in this case, pokh on droughts and prucha sugar vs. seasonality, see pictures of calendar sugar spread movements on this page...
2. As a result, see on cocoa: "Decomposed the cocoa spread "by year" for the last 10 years. Not much of a profit. But also the annual loss for these two weeks (until August 1) is virtually nonexistent. Whereasthe cumulative profit can average a few tens of points:"
See this page for calendar spreads of flour and pigs NOT since 2000 - not a single losing year. It's not for nothing that they say calendar ones are the most reliable entries...
If you add here, the so-called seasonality entry window (week left/right) + TA with spread indicators - download the archive from the first post of this page on TF H1 + look at the behavior of market operators via CFTC reports at the current time, in this case:
IMHO, you can talk about "stat advantage."
I used to trade on seasonality too, but let me ask you, what is the basis for believing in a "concrete foundation" ? On the fact that over the last 15-20 years sugar has risen in July and heating oil in winter? It makes sense, but you know there are loss-making years, when commodities go against the season, such as some grains this summer because of drought. And where is the guarantee that the drought will not be 2-3 years in a row, etc.. So what happens in the end? And that the whole "concrete foundation" is based on 10-20 transactions (years), which, you must agree, can never claim to be representative or talk about any statistical advantage.
Why, if we can see that 80-90% of the time the annual cycle repeats itself, then it could well be considered a pattern. Especially when we are talking about commodity markets where there are certain seasonal cycles (sowing, harvest, seasonal demand, etc.). Weather fluctuations and other unexpected factors will certainly have an impact, but statistically they should be neutral as they can be considered a random factor. One year they can work against you and the next year they can work in your favor, increasing your profits.
Therefore, if in 10-20 years there was a stable seasonal trend, then a couple of bad years does not mean that this seasonal trend lost its relevance. You have to be guided by the reasons behind it. If there was a change in production/consumption structure (e.g. fuel switch), it can break the seasonal pattern for this commodity (as it happens with natural gas in recent years). But if it's just weather or some political issues, it's no big deal.
1. We are talking about trading not direct contracts but their spreads - in which case pokh on sugar droughts and prucha versus seasonality, see pictures of calendar sugar spread movements on this page...
Well, the man wasn't just talking about sugar, but also grains and other commodities. So, many grain spreads in July went well below the seasonal level due to the drought. So, don't exaggerate and say that spreads don't care about anything. They, too, are reacting to all the events taking place. And in most cases there is a correlation between spreads and direct contracts.
:-) OK.
BUT, if you write about PORTFUL spreads of contract-positions, then in any case the "statistical advantage" is there!
Alexander's theory gets partial confirmation. Partial because the results are from MT5 tester (just in case it is possible to test multicurrency there and we cannot do tricks with equity balance like MT4). The Expert Advisor works on the principle of the spread of two pairs in this variant of the eu and pound, a constant lot without using margin calls and other MM, there are also no stop profits and other things. We are opening and closing positions by signal. If there are no errors in the EA (my bad hands notwithstanding) it's the closest to the grail.
The red line is the optimization period.
Alexander's theory gets partial confirmation. Partial because the results are from MT5 tester (just in case it is possible to test multicurrency there and we cannot do tricks with equity balance like MT4). The Expert Advisor works on the principle of the spread of two pairs in this variant of the eu and pound, a constant lot without using margin calls and other MM, there are also no stop profits and other things. We are opening and closing positions by signal. If there are no errors in the EA (my bad hands notwithstanding) it's the closest to the grail.
The red line is the period of optimization.
Has it been posted/unposted by you?
The other one?